On the optional and orthogonal decompositions of a class of semimartingales (Q2694625)

Summary: We consider a set \(\mathcal{Q}\) of probability measures, which are absolutely continuous with respect to the physical probability measure \(\mathbb{P}\) and at least one is equivalent to \(\mathbb{P}\). We investigate necessary and sufficient conditions on \(\mathcal{Q}\), under which any \(\mathcal{Q}\)-supermartingale can be decomposed into the sum of a local \(\mathcal{Q}\)-martingale and a decreasing process. We also provide an orthogonal decomposition of square integrable semimartingale as the orthogonal sum of a local \(\mathcal{Q}\)-martingale and a square integrable semimartingale. As one application, we state the orthogonal decomposition in an appropriate sense of the polar set of \(\mathcal{Q}\). We generalise then the results of a previous article (2021), from finite probability space and discrete time case to general continuous time case.